In arbitrage-free but incomplete markets, the equivalent martingale measure Q for pricing traded assets is not uniquely determined. A possible approach when it comes to choosing a particular pricing measure is to consider the one that is "closest" to the physical probability measure P, where...

Survival bonds are financial instruments with a payoff that depends on human mortality rates. In markets that contain such bonds, agents optimizing expected utility of consumption and terminal wealth can mitigate their longevity risk. To examine how this influences optimal portfolio strategies...

Recent surveys indicate that many pension-fund participants aim for higher retirement income security. We investigate the added value of including derivatives in the portfolio of pension funds to achieve this goal. To do so, we define preferences that incorporate specific features of pension...